Simple Difference-in-Differences Estimation in Fixed-T Panels

1 code implementation • 26 Jan 2023 • Nicholas Brown, Kyle Butts, Joakim Westerlund

The present paper proposes a new treatment effects estimator that is valid when the number of time periods is small, and the parallel trends condition holds conditional on covariates and unobserved heterogeneity in the form of interactive fixed effects.

valid

Multiple Structural Breaks in Interactive Effects Panel Data and the Impact of Quantitative Easing on Bank Lending

1 code implementation • 12 Nov 2022 • Jan Ditzen, Yiannis Karavias, Joakim Westerlund

This paper develops a new toolbox for multiple structural break detection in panel data models with interactive effects.

Interactive Effects Panel Data Models with General Factors and Regressors

no code implementations • 22 Nov 2021 • Bin Peng, Liangjun Su, Joakim Westerlund, Yanrong Yang

This paper considers a model with general regressors and unobservable factors.

Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19

1 code implementation • 4 Nov 2021 • Yiannis Karavias, Paresh Narayan, Joakim Westerlund

The fact that most markets seem to have partly recovered while the pandemic is still ongoing suggests that the relationship between stock returns and COVID-19 has been subject to structural change.

Testing and Estimating Structural Breaks in Time Series and Panel Data in Stata

1 code implementation • 27 Oct 2021 • Jan Ditzen, Yiannis Karavias, Joakim Westerlund

Identifying structural change is a crucial step in analysis of time series and panel data.

Time Series Time Series Analysis